Commit 7ca7932b authored by Maximilian Stahlberg's avatar Maximilian Stahlberg
Browse files

Add option 'mosek_basic_sol' to obtain a basic solution for LPs.

parent d4d27e91

picos/modeling/options.py

+4 −0
Original line number Diff line number Diff line
@@ -443,6 +443,10 @@ OPTIONS = [ 
        This option affects both MOSEK (Optimizer) and MOSEK (Fusion).

        """, None),



    ("mosek_basic_sol", bool, False, """

        Return a basic solution when solving LPs with MOSEK (Optimizer).

        """),



    ("mskfsn_params", dict, {}, """

        A dictionary of MOSEK (Fusion) parameters to be set after general

        options are passed and before the search is started.

picos/solvers/solver_mosek.py

+17 −11
Original line number Diff line number Diff line
@@ -700,6 +700,13 @@ class MOSEKSolver(Solver): 
    def _solve(self):

        import mosek



        # Determine whether an LP is being solved.

        # TODO: Give Problem an interface for checks like this.

        _affine = (AffineConstraint, DummyConstraint)

        _is_lp = isinstance(self.ext.no.function, AffineExpression) \

            and all(isinstance(constraint, _affine)

            for constraint in self.ext.constraints.values())



        # Reset all solver options to default.

        self.int.setdefaults()

        self.int.putoptserverhost("")
@@ -780,12 +787,6 @@ class MOSEKSolver(Solver): 
            self.int.putintparam(mosek.iparam.sim_max_iterations,    value)



        # Prepare lp_node_method and lp_root_method.

        if self.ext.options.lp_node_method is not None \

        or self.ext.options.lp_root_method is not None:

            _affine = (AffineConstraint, DummyConstraint)

            _is_lp = isinstance(self.ext.no.function, AffineExpression) \

                and all(isinstance(constraint, _affine)

                for constraint in self.ext.constraints.values())

        _lpm = {

            "interior": (mosek.optimizertype.intpnt if _is_lp

                else mosek.optimizertype.conic),
@@ -822,6 +823,13 @@ class MOSEKSolver(Solver): 
            except mosek.Error as error:

                self._handle_bad_solver_specific_option(key, value, error)



        # Handle 'mosek_basic_sol' option.

        if self.ext.options.mosek_basic_sol and _is_lp:

            _intpnt_basis = mosek.basindtype.always

        else:

            _intpnt_basis = mosek.basindtype.never

        self.int.putintparam(mosek.iparam.intpnt_basis, _intpnt_basis)



        # Handle 'mosek_server' option.

        if self.ext.options.mosek_server:

            self.int.putoptserverhost(self.ext.options.mosek_server)
@@ -830,11 +838,6 @@ class MOSEKSolver(Solver): 
        # TODO: Handle "hotstart" option (via mio_construct_sol).

        self._handle_unsupported_option("hotstart", "treememory")



        # Disable basis identification as this can be a performance bottleneck.

        # TODO: Consider adding an option to enable LP basis identification.

        #       (For this to work, retrieve mosek.soltype.bas below.)

        self.int.putintparam(mosek.iparam.intpnt_basis, mosek.basindtype.never)



        # Attempt to solve the problem.

        with self._header(), self._stopwatch():

            try:
@@ -853,6 +856,9 @@ class MOSEKSolver(Solver): 


        # Set the solution to be retrieved.

        if self.ext.is_continuous():

            if _intpnt_basis == mosek.basindtype.always:

                solType = mosek.soltype.bas

            else:

                solType = mosek.soltype.itr

        else:

            solType = mosek.soltype.itg